public override IPricingResult Calculate(RainbowOption trade, IMarketCondition market, PricingRequest request)
{
var result = new PricingResult(market.ValuationDate, request);
var exerciseDate = trade.ExerciseDates.Last();
var maturityDate = trade.UnderlyingMaturityDate;
//TODO: support timeIncrement
var exerciseInYears = AnalyticalOptionPricerUtil.timeToMaturityFraction(market.ValuationDate, exerciseDate, trade);
var maturityInYears = AnalyticalOptionPricerUtil.timeToMaturityFraction(market.ValuationDate, maturityDate, trade);
var riskFreeRate = market.DiscountCurve.Value.ZeroRate(market.ValuationDate, exerciseDate);
var ticker1 = trade.UnderlyingTickers[0];
var ticker2 = trade.UnderlyingTickers[1];
double dividendRate1, dividendRate2;
if (AnalyticalOptionPricerUtil.isForwardFuturesOption(trade.UnderlyingProductType))
{
dividendRate1 = riskFreeRate;
dividendRate2 = riskFreeRate;
}
else
{
dividendRate1 = market.DividendCurves.Value[ticker1].ZeroRate(market.ValuationDate, exerciseDate);
dividendRate2 = market.DividendCurves.Value[ticker2].ZeroRate(market.ValuationDate, exerciseDate);
}
var spot1 = market.SpotPrices.Value[ticker1];
var spot2 = market.SpotPrices.Value[ticker2];
var sigma1 = market.VolSurfaces.Value[ticker1].GetValue(exerciseDate, trade.Strikes[0], spot1);
var sigma2 = market.VolSurfaces.Value[ticker2].GetValue(exerciseDate, trade.Strikes[0], spot2);
var strike1 = trade.Strikes[0];
var strike2 = 0.0;
if (trade.Strikes.Length > 1)
{
strike2 = trade.Strikes[1];
}
//Note: correlation here is a scala number. can be a grid for multi-asset option
var rho = market.Correlations.Value[ticker1].GetValue(exerciseDate, strike1);
var calculator = new RainbowOptionCalculator(trade.OptionType,
trade.RainbowType,
strike1, strike2, trade.CashAmount,
spot1, spot2, rho,
sigma1, sigma2,
exerciseInYears,
riskFreeRate,
dividendRate1, dividendRate2,
trade.Notional);
bool isExpired = trade.ExerciseDates.Last() < market.ValuationDate;
bool isExpiredforTheta = trade.ExerciseDates.Last() <= market.ValuationDate;
if (isExpired)
{
result.Pv = 0.0;
result.Theta = 0.0;
result.asset1Delta = 0.0;
result.asset1DeltaCash = 0.0;
result.asset2Delta = 0.0;
result.asset2DeltaCash = 0.0;
result.asset1PartialDelta = 0.0;
result.asset2PartialDelta = 0.0;
result.asset1Gamma = 0.0;
result.asset1GammaCash = 0.0;
result.asset2Gamma = 0.0;
result.asset2GammaCash = 0.0;
result.asset1Vega = 0.0;
result.asset2Vega = 0.0;
result.Rho = 0.0;
result.Theta = 0.0;
result.asset1DDeltaDt = 0.0;
result.asset2DDeltaDt = 0.0;
result.asset1DVegaDvol = 0.0;
result.asset2DVegaDvol = 0.0;
result.asset1DDeltaDvol = 0.0;
result.asset2DDeltaDvol = 0.0;
result.asset1DVegaDt = 0.0;
result.asset2DVegaDt = 0.0;
result.crossGamma = 0.0;
result.crossVomma = 0.0;
result.crossVanna1 = 0.0;
result.crossVanna2 = 0.0;
result.correlationVega = 0.0;
}
else
{
if (result.IsRequested(PricingRequest.Pv))
{
result.Pv = calculator.Pv;
}
if (AnalyticalOptionPricerUtil.isBasicPricing(result))
{
result.asset1Delta = calculator.asset1Delta;
result.asset2Delta = calculator.asset2Delta;
result.asset1DeltaCash = calculator.asset1Delta * spot1;
result.asset2DeltaCash = calculator.asset2Delta * spot2;
result.asset1PartialDelta = calculator.asset1PartialDelta;
result.asset2PartialDelta = calculator.asset2PartialDelta;
result.asset1Gamma = calculator.asset1Gamma;
result.asset2Gamma = calculator.asset2Gamma;
result.asset1GammaCash = calculator.asset1Gamma * spot1 * spot1 / 100;
result.asset2GammaCash = calculator.asset2Gamma * spot2 * spot2 / 100;
result.asset1Vega = calculator.asset1Vega;
result.asset2Vega = calculator.asset2Vega;
result.Rho = calculator.Rho;
result.Theta = (isExpiredforTheta) ? 0.0 : calculator.Theta;
}
if (AnalyticalOptionPricerUtil.isHighOrderPricing(result))
{
result.asset1DVegaDvol = calculator.asset1DVegaDvol;
result.asset2DVegaDvol = calculator.asset2DVegaDvol;
result.asset1DDeltaDvol = calculator.asset1DDeltaDvol;
result.asset2DDeltaDvol = calculator.asset2DDeltaDvol;
result.crossGamma = calculator.crossGamma;
result.crossVomma = calculator.crossVomma;
result.crossVanna1 = calculator.crossVanna1;
result.crossVanna2 = calculator.crossVanna2;
result.correlationVega = calculator.correlationVega;
}
if (isExpiredforTheta)
{
result.asset1DDeltaDt = result.asset2DDeltaDt = 0.0;
result.asset1DVegaDt = result.asset2DVegaDt = 0.0;
}
else
{
result.asset1DDeltaDt = calculator.asset1DDeltaDt;
result.asset2DDeltaDt = calculator.asset2DDeltaDt;
result.asset1DVegaDt = calculator.asset1DVegaDt;
result.asset2DVegaDt = calculator.asset2DVegaDt;
}
}
return(result);
}